多腿掉期定價

can anyone guide me how to price a multi-legged swap and whether I need Monte Carlo / LMM based approach or if there is a closed form solution.

Receive leg “Libor 3m +1%”

Payment leg If Libor is greater than strike of 3%, then “Libor - 0.5%”, else 3%

typically the 3M libor is set at the beginning of a 3M calculation period. If so, your payout is a simple combination of cap + a digital option on 0.5%. You do not need LMM on this. It would be an overkill. However, if your 3M libor is set differently, you might have to use convexity adjustment, or even worse, a path-dependence is introduced, then LMM.

引用自：https://quant.stackexchange.com/questions/45637